Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis
Jean-Baptiste Hasse and
Quentin Lajaunie ()
Additional contact information
Jean-Baptiste Hasse: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Working Papers from HAL
In this paper, we reexamine the predictive power of the yield spread across countries and over time. Using a dynamic panel/dichotomous model framework and a unique dataset covering 13 OECD countries over a period of 45 years, we empirically show that the yield spread signals recessions. This result is robust to different econometric specifications, controlling for recession risk factors and time sampling. Using a new cluster analysis methodology, we present empirical evidence of a partial homogeneity of the predictive power of the yield spread. Our results provide a valuable framework for monitoring economic cycles.
Keywords: Yield Spread; Recession; Panel Binary Model; Cluster Analysis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02549044
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-02549044
Access Statistics for this paper
More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().